Overview

Execution research must distinguish a change in observation frequency, a spread payment and a change in the market's valuation. All three can produce a pattern in transaction prices, but they imply different decisions for a trading desk. This topic starts with the sampling clock, then defines cost measures and studies the information carried by aggressive order flow.

By the end of this note you should be able to:

• build event-based bars without using future volume;
• compute quoted, effective and realised spreads under an explicit sign convention;
• classify trades and quantify signed volume while retaining classification uncertainty;
• distinguish observed price response from causal impact;
• test a liquidity measure under different horizons, market states and sampling choices.

1. Contents
2. The big picture